Hi Yogesh,
one of the few regressors that supports this in sklearn is GaussianProcess
but that wont scale to your problem.
An alternative is to use a GradientBoostingRegressor with quantile loss to
generate prediction intervals (see [1]) -- only for the keen - i've once
used that unsuccessfully in a Kaggle comp. Its not a confidence score
though -- it can only tell you if its within a band.
Maybe one can generate a confidence score from Random Forests... I remember
that I read something along those lines in this survey [2].
best,
Peter
[1]
http://scikit-learn.org/stable/auto_examples/ensemble/plot_gradient_boosting_quantile.html
[2] http://research.microsoft.com/apps/pubs/default.aspx?id=155552
2014-07-22 19:52 GMT+02:00 Yogesh Pandit <yogesh...@gmail.com>:
> Hello,
>
> I am working with regressors (sklearn.ensemble). Shape of my test data
> is (1121280, 452)
>
> I am wondering on how I can associate a confidence score for prediction
> for each sample from my test data. Any suggestions would be helpful. Thank
> you,
>
> -Yogesh
>
>
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--
Peter Prettenhofer
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